Realized Returns
Recovering Probabilities and Risk Aversion from Option Prices and Realized Returns
... Although the implied binomial tree model correctly anticipates the negative relation between volatility and asset price, it is not the only option pricing model with this implication. This motivates our tests of ...
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Tradable measure of risk
... of Realized Risk which we define as a directly observable function of realized ...the Realized Risk for a certain period. Our definition of the Realized Risk payoff involves a Weighted Average ...
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Future Realized Return, Firm-Specific Risk and the Implied Expected Return
... future realized stock returns, even after controlling for commonly used risk proxies (the CAPM beta, size and leverage) and cash flow and discount rate news (Campbell (1991), Vuolteenaho (2002)), as well as ...
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Distress Risk and Stock Returns in An Emerging Market
... subsequent realized returns of most of the distress listed-companies are positive while share performance of the distress firms is ...expected returns by ...subsequent realized returns ...
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CAPM Beta, Size, Book-to-Market, and Momentum in Realized Stock Returns
... expected returns. Stocks with high past-realized returns are likely to have high expected returns, which generates a momentum which is driven by variation in the systematic risk of the ...
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Measuring systemic risk
... 3.62% and that with ES is basically 0.0%. These results are also summarized in Table 4 which has three additional results. First, column (3) shows that Vol, another measure of individual firm risk does very poorly in ...
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A fear index to predict oil futures returns
... Alquist et al. (2012) provide an exhaustive review of studies dedicated to the forecast of oil prices. Many contributions use information from the oil market only, as in Alquist and Kilian (2010) or Knetsch (2007), among ...
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Realized volatility
... daily returns, as a proxy for the current and future volatility ...past returns. In sum, while actual returns may be measured with minimal (measurement) error and may be analyzed directly via ...
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Minimum Capital Requirement Calculations for UK Futures
... First, long memory is demonstrated in figure 3 where the strong persistence that follows a hyperbolic decay structure is shown. Also, all the corresponding Ljung- Box statistics are significant given in table III. It is ...
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HAR Modeling for Realized Volatility Forecasting
... To investigate this, we generalize the LHAR-CJ model introduced in (1.17) to estimate leverage effects. We propose a tree-structured local HAR-CJ model (Tree HAR-CJ) which is able to take into account both long-memory ...
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Volatility Modelling with Applications to Equity and Foreign Exchange Markets
... of realized volatil- ...of realized volatility or variance can be closely approximated by Inverse Gaussian distribution (Forsberg and Bollerslev (2002) and Stentoft (2008)), the conditional distribution can ...
151
Predicting individual stock returns using optimized neural networks
... varying individual predictions, but when averaged in a portfolio, the overall predictive result becomes less noisy and grants a much better prediction than the historical average of the portfolio. Again, I note that ...
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Understanding the Tracking Errors of Commodity Leveraged ETFs
... Abstract Commodity exchange-traded funds (ETFs) are a significant part of the rapidly growing ETF market. They have become popular in recent years as they provide investors access to a great variety of commodities, ...
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An economic analysis of gladiolus cultivation in Jammu district of J&K state
... Gladiolus flower is assuming great importance in the state of Jammu and Kashmir like in other states of the country. Keeping this in view, a study has been conducted to analyse the economics of gladiolus cultivation for ...
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Return Attribution Analysis of the UK Insurance Portfolios
... portfolio returns, that is the growth rate of premiums, X a matrix of T observations for K style factor returns, that is the growth rates of claims and expenses, a vector of K style factor betas, 1 is a ...
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Realized Variance.pdf
... Several results in the literature (including our theoretical re- sults given in Sec. 3) that analyze volatility estimation from high-frequency data contaminated with market microstructure noise have assumed that the ...
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Constructing an �α maximizing option trading strategy in a multidimensional setting
... log returns on the underlying ...excess returns for most of our analyses, which strengthens our claim that the obtained strategy excess returns are generated by the strategy alone, and not by other ...
106
Forecasting risk via realized GARCH, incorporating the realized range
... forecast returns, whose parameters are jointly tested to be intercept zero and slope one, respectively, as would indicate an accurate quantile forecasting ...
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Practical approach to estimating cost of capital
... There have been attempts to account for extra-risks in the CAPM that relate to company-specific risk factors. Grabowski (2008) argues for company-specific risk adjustments based on the fact that typically investors do ...
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Forecasting Using Alternative Measures of Model Free Option Implied Volatility
... Despite the increasing popularity of the V IX, measurement errors in its construction have been noted by Jiang & Tian (2005). The common problem inherent in the computation of the V IX as well as other measures of ...
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